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Analysis of Herding in REITs of an Emerging Market: The Case of Turkey

Omokolade Akinsomi, Yener Coskun () and Rangan Gupta

No 201666, Working Papers from University of Pretoria, Department of Economics

Abstract: The study examines herding behavior in Turkish REITs (T-REITs) by using daily closing prices over the period of July 2007 to May 2016. To the best of our knowledge, this paper is the first study to solely examine the herding behavior in T-REITs by utilizing Chang et al. (2000) methodology. For the three sub-periods, our results indicate herding behaviors, the presence of directional asymmetry and linear relation between volatility and herding. The evidences suggest herding is a persistent phenomenon and increases during the period of market stress. Finally, we also find transitivity in volatility periods in both with/without asymmetry term models. The research draws critical implications for portfolio managers and supervisors dealing with emerging markets and T-REITs.

Keywords: REIT; herd behavior; asymmetric herding; volatility; Turkey (search for similar items in EconPapers)
JEL-codes: C32 G11 G15 (search for similar items in EconPapers)
Pages: 17 pages
Date: 2016-09
New Economics Papers: this item is included in nep-ara and nep-cwa
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Journal Article: Analysis of Herding in Reits of an Emerging Market: The Case of Turkey (2018) Downloads
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